Is the 02 sensor in the catalytic converter or somewhere else I canít find it?

Welcome to SaturnFans, Johnathan207!

If you're looking for the "Upstream" O2 sensor then look carefully at the connection between the exhaust manifold and the flex pipe segment at the head of the exhaust system. If it's like the one shown in the picture from my car then it is somewhat obscured by the exhaust manifold heat shield. The view is from above and at the driver side.

To find the "Downstream" sensor you'd need to be underneath the car. It's past the converter, pointing outward toward the passenger side.

When removing either of these sensors it is best to tighten it slightly to break seal of the threads. It seems counter-intuitive, but it works. Then proceed to loosen it. You should use an O2 sensor socket for the upstream sensor. It's possible to get by with a wrench on the downstream sensor.